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Kalman Filtering Tutorial

1 Understanding and ApplyingKalman FilteringLindsay KleemanDepartment of Electrical and Computer Systems EngineeringMonash University, Clayton2 a basic understanding of Kalman Filtering and assumptionsbehind its (but cannot avoid) mathematical treatment to broaden some practicalities and examples of C++ software is a Kalman Filter and What Can It Do?A Kalman filter is an optimal estimator - ie infers parameters of interest fromindirect, inaccurate and uncertain observations. It is recursive so that newmeasurements can be processed as they arrive.

Introduction Objectives: 1. Provide a basic understanding of Kalman Filtering and assumptions behind its implementation. 2. Limit (but cannot avoid) mathematical treatment to broaden appeal. 3. Provide some practicalities and examples of implementation. 4. …

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